Yin, G. and Dey, Subhrakanti (2002) Hybrid filters modulated by Markov chains with two-time scales. In: Proceedings of the 41st IEEE Conference on Decision and Control, 2002. IEEE, pp. 3573-3578. ISBN 0780375165

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Abstract

We consider a class of hybrid filtering problems in discrete-time. The main feature is that the system is modulated by a Markov chain. Our main effort is to reduce the complexity of the underlying problems. Consider the case that the Markov chain has a large state space. Then the solution of the problem relies on solving a large number of filtering equations. By using the hierarchical structure of the system, we show that a reduced system of filtering equations can be obtained by aggregating the states of each recurrent class into one state. Extensions to inclusion of transient states and nonstationary cases are also treated.

Item Type:	Book Section
Additional Information:	Cite as: G. Yin and S. Dey, "Hybrid filters modulated by Markov chains with two-time scales," Proceedings of the 41st IEEE Conference on Decision and Control, 2002., 2002, pp. 3573-3578 vol.3, doi: 10.1109/CDC.2002.1184431.
Keywords:	Hybrid; Markov chain; two-time scales; filtering; near complete decomposability; weak convergence;
Academic Unit:	Faculty of Science and Engineering > Electronic Engineering Faculty of Science and Engineering > Research Institutes > Hamilton Institute
Item ID:	14441
Identification Number:	https://doi.org/10.1109/CDC.2002.1184431
Depositing User:	Subhrakanti Dey
Date Deposited:	19 May 2021 15:25
Publisher:	IEEE
Refereed:	Yes
URI:	Publisher
Use Licence:	This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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